Bardhan, Indrajit; Chao, Xiuli - In: Stochastic Processes and their Applications 63 (1996) 1, pp. 35-54
We study financial market incompleteness induced by discontinuities in asset returns. When there are multiple outcomes for a discontinuity, it is shown that this incompleteness cannot be removed by the introduction of extra securities. Claims cannot be hedged and are thereby not uniquely priced...
